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A real time evaluation of Bank of England forecasts of inflation and growth

  • Groen, Jan J.J.
  • Kapetanios, George
  • Price, Simon

We compare the Bank of England's Inflation Report quarterly forecasts for growth and inflation to real-time benchmark forecasts. The results reveal the well-known difficulty of forecasting in a stable macroeconomic environment, and the Inflation Report forecasts of GDP growth are generally inferior to forecasts from linear and non-linear univariate models. However, for the inflation forecast the Inflation Report is clearly dominant.

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File URL: http://www.sciencedirect.com/science/article/B6V92-4TRR8MR-3/2/e62756388bf4455946e8f4004e7c6e3e
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 25 (2009)
Issue (Month): 1 ()
Pages: 74-80

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Handle: RePEc:eee:intfor:v:25:y:2009:i:1:p:74-80
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  2. Michael Woodford, 2000. "Pitfalls of Forward-Looking Monetary Policy," American Economic Review, American Economic Association, vol. 90(2), pages 100-104, May.
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  4. Anthony Garratt & Gary Koop & Emi Mise & Shaun Vahey, 2008. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2008/13, Reserve Bank of New Zealand.
  5. Jan J.J. Groen & George Kapetanios & Simon Price, 2010. "Multivariate Methods for Monitoring Structural Change," Working Papers 658, Queen Mary University of London, School of Economics and Finance.
  6. James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, 02.
  7. James H. Stock & Mark W. Watson, 2007. "Erratum to "Why Has U.S. Inflation Become Harder to Forecast?"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1849-1849, October.
  8. repec:att:wimass:9417 is not listed on IDEAS
  9. Marcellino, Massimiliano, 2006. "A Simple Benchmark for Forecasts of Growth and Inflation," CEPR Discussion Papers 6012, C.E.P.R. Discussion Papers.
  10. Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecast combination and the Bank of England's suite of statistical forecasting models," Economic Modelling, Elsevier, vol. 25(4), pages 772-792, July.
  11. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
  12. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September.
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